reonade

我考得时候时间很紧，我是一步做的。。。不知道行不行。
拿equity来说，如果reallocate前的分配是A0，r ...
damonbi 发表于 2012-6-8 10:46

    结果对应该也可以吧，我印象中long了115份bond future, short了30份equity future.

asakawalan

回复  greenturtle


    问的是poland的最小怎么变动 所以要用他问的那个国家的除 不论大小 ...
foravenir 发表于 2012-6-5 16:15

   用较大的除，关键字是 contry beta
波兰当地yield的变化，和你的组合净值变动有关系吗？ 你的组合净值变动衡量应该用本币的yield

damonbi

结果对应该也可以吧，我印象中long了115份bond future, short了30份equity future. ...
reonade 发表于 2012-6-8 13:52

   bond 是这个数，equity我忘了

asakawalan

回复 238# tt501916


  编辑掉

asakawalan

回复  tt501916


    think in another way again.

if the question is changed to "unexpected DEFLAT ...
tt501916 发表于 2012-6-5 21:56

   the same ration as in the currency movement chapter, for asset managers seeking int'l diversification benefits, sth they concern the most is that the local currency moves in the same direction as the asset return in local currency term.

asakawalan

according to you，a hedge must have negative corrolation with the underling asset,
then how can  ...
greenturtle 发表于 2012-6-5 22:11

   the textbook you referred to aims the purchasing power reservation, not hedge.
the HEDGE showed up in the exam, is more like a delta HEDGE.

dpictureq

Which asset best repress the human capital: equity,  AAA CORPORTAT BOND, GOVERNMENT BOND, AMORTIZED MTG BOND...I chose amortized bond........not sure if it's correct

Allenden

Which asset best repress the human capital: equity,  AAA CORPORTAT BOND, GOVERNMENT BOND, AMORTIZED  ...
dpictureq 发表于 2012-6-8 16:00

I chose Treasury bill. It may sound ridiculous but my reason is that now his salary is indexed to inflation.So it is like you invest in Treasury bill every year with interest rate determined by the prevailing market interest rate and get the cash inflow at the end of every year. And because the interest rate of Treasury is highly correlated with short-term inflation rate, so I think Treasury bill best represents his human capital. But I don't have faith in my answer even when I wrote this but I can't think of the reasons to choose other assets at that time and I was running out of time....

dmy949

Which asset best repress the human capital: equity,  AAA CORPORTAT BOND, GOVERNMENT BOND, AMORTIZED  ...
dpictureq 发表于 2012-6-8 16:00

    I chose aaa corporate bond on exam but after reconsider the situation at lunch that day, the answer is more likely to be amortized bond. Human capital is amortizing and the par reduce to 0 when retired, all other instriments are bullet structure. I remember it accounts above 6 marks, what a pity.

dpictureq

回复  dpictureq


   What's the characteristic of the human capital? I've forgot it...
cfasift 发表于 2012-6-8 18:46

    I think its A guaranteed salary